Efficiency in emerging markets: Applying the automatic variance ratio test
نویسندگان
چکیده
منابع مشابه
Investigation of the market efficiency of emerging stock markets in the East-European region
The presence of stock market efficiency is a distinctive characteristic of the effectively functioning market economy. Investigation of the market efficiency of seven emerging East-European stock exchanges is carried out as their major stock indices (BELEX15, BET, CROBEX, ISE100, PFTS, RTSI, SOFIX) are studied in respect of long-range dependence (LRD), persistency, and forecasting possibili...
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The variance ratio test statistic, which is based on k-period differences of the data, is commonly used in empirical finance and economics to test the random walk hypothesis. We obtain the asymptotic power function of the variance ratio test statistic when the differencing period k is increasing with the sample size n such that k/n→ δ > 0. We show that the test is inconsistent against a variety...
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ژورنال
عنوان ژورنال: Corporate Ownership and Control
سال: 2012
ISSN: 1810-3057,1727-9232
DOI: 10.22495/cocv9i2c2art5